Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0424
Annualized Std Dev 0.2025
Annualized Sharpe (Rf=0%) 0.2094

Row

Daily Return Statistics

Close
Observations 5235.0000
NAs 1.0000
Minimum -0.1119
Quartile 1 -0.0049
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0059
Maximum 0.1070
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0128
Skewness -0.2104
Kurtosis 9.6074

Downside Risk

Close
Semi Deviation 0.0092
Gain Deviation 0.0091
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.6298
Historical VaR (95%) -0.0193
Historical ES (95%) -0.0310
Modified VaR (95%) -0.0190
Modified ES (95%) -0.0313
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2013-11-22 -0.6298 1604 416 1188
2001-02-02 2002-10-09 2006-01-06 -0.4567 1238 421 817
2020-02-13 2020-03-23 2021-01-12 -0.3704 231 27 204
2018-01-29 2018-12-24 2019-10-22 -0.2126 437 229 208
2015-05-22 2016-02-11 2016-07-22 -0.1656 295 183 112

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 1.2 -0.4 0.7 0.5 -0.5 -0.2 0.8 -1.4 0.8
2001 0.8 -0.3 1.7 0.8 0.4 1.1 0.4 0.3 -0.4 2.1 -0.5 -0.6 5.8
2002 -0.6 1.7 -0.5 1 0.1 -1.8 -3.1 0.2 3.8 2 -0.8 0.5 2.6
2003 1.3 1.2 1.7 -0.5 2 0.6 -1 0.5 2.2 0.1 1.1 -0.1 9.4
2004 -0.1 1.2 0.4 -0.7 -0.2 -0.8 -0.1 0.1 1.5 0.2 1 0 2.5
2005 0.4 0.6 -0.6 1.2 0.7 0.4 0 0.4 0.3 0.2 1.3 -0.5 4.5
2006 0.5 1 -0.1 -0.8 1.2 0.1 -0.5 0.6 -0.3 -0.7 -0.5 -0.5 -0.1
2007 0.5 -0.1 0.1 0 0.4 -0.7 0.3 1.2 1.5 -2.8 1.6 -0.9 1.1
2008 1.8 -2.6 4.1 2.5 -0.3 0.4 -0.4 -0.9 0.2 2.1 -9.3 1.9 -1.2
2009 -2.5 -2.7 2.4 0.4 2.1 0.5 0.2 -2.8 -2.7 -3 1.2 -0.8 -7.8
2010 1.4 1 0.9 -1.6 -1.8 -0.4 0.1 3 0.6 -0.2 2.2 0.1 5.2
2011 1.9 -1.6 0.5 0.2 -2.4 1.4 -0.3 -1.2 -2.5 -3 -0.3 -0.5 -7.5
2012 1.1 0.8 0.4 0.8 -2.6 2.5 -0.3 0.5 0.2 1.2 0 1.7 6.5
2013 1 0.3 -0.2 -0.9 -1.6 0.7 1.3 -0.2 0.7 0.3 -0.2 0.3 1.4
2014 -0.8 0.3 0.4 -0.1 0.2 0.5 -0.3 0.3 -1.2 1.1 -0.4 -1 -1
2015 -1.3 -0.3 -0.3 0.8 0.1 0.7 -0.4 -3 0 -0.5 1 -0.8 -4
2016 -0.1 2.2 0.4 -0.8 0.2 0 -0.5 -0.1 0.9 -0.6 0.3 -0.1 1.8
2017 -0.2 1.5 -0.4 0 1 0.1 0.3 0.4 0.2 0.3 0 -0.3 2.9
2018 0.1 -1.2 1.2 -0.3 0.7 0 -0.6 -0.1 0.4 0.7 0.6 0.8 2.4
2019 0.2 0.6 1.3 -0.4 -1.3 0.8 -1.4 0.2 -1.2 1.4 -0.3 0.3 0
2020 -1.8 -1.4 -4.5 -2.8 0.3 0 -0.3 0 0.1 -0.1 0.8 0.8 -8.6
2021 0.9 2.2 -0.5 NA NA NA NA NA NA NA NA NA 2.5

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart